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Convergence Rates of SNP Density Estimators

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  • Fenton, Victor M
  • Gallant, A Ronald

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Bibliographic Info

Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 64 (1996)
Issue (Month): 3 (May)
Pages: 719-27

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Handle: RePEc:ecm:emetrp:v:64:y:1996:i:3:p:719-27

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Cited by:
  1. Antic, J. & Laffont, C.M. & Chafaï, D. & Concordet, D., 2009. "Comparison of nonparametric methods in nonlinear mixed effects models," Computational Statistics & Data Analysis, Elsevier, vol. 53(3), pages 642-656, January.
  2. Ignacio Mauleon & Javier Perote, 2000. "Testing densities with financial data: an empirical comparison of the Edgeworth-Sargan density to the Student's t," The European Journal of Finance, Taylor & Francis Journals, vol. 6(2), pages 225-239.
  3. Fenton, Victor M. & Gallant, A. Ronald, 1996. "Qualitative and asymptotic performance of SNP density estimators," Journal of Econometrics, Elsevier, vol. 74(1), pages 77-118, September.
  4. Gallant, A. Ronald & Hsieh, David & Tauchen, George, 1997. "Estimation of stochastic volatility models with diagnostics," Journal of Econometrics, Elsevier, vol. 81(1), pages 159-192, November.
  5. Liesenfeld, Roman & Breitung, Jörg, 1998. "Simulation based methods of moments in empirical finance," SFB 373 Discussion Papers 1998,59, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  6. Andersen, Torben G. & Chung, Hyung-Jin & Sorensen, Bent E., 1999. "Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study," Journal of Econometrics, Elsevier, vol. 91(1), pages 61-87, July.
  7. Mauleon, Ignacio, 2003. "Financial densities in emerging markets: an application of the multivariate ES density," Emerging Markets Review, Elsevier, vol. 4(2), pages 197-223, June.
  8. van der Sluis Pieter J., 1997. "EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(3), pages 1-20, October.
  9. Teruko Takada, 2001. "Nonparametric density estimation: A comparative study," Economics Bulletin, AccessEcon, vol. 3(16), pages 1-10.
  10. repec:dgr:uvatin:2097087 is not listed on IDEAS
  11. Dias, Ronaldo & Garcia, Nancy L., 2007. "Consistent estimator for basis selection based on a proxy of the Kullback-Leibler distance," Journal of Econometrics, Elsevier, vol. 141(1), pages 167-178, November.
  12. George J. Jiang & Pieter J. van der Sluis, 1998. "Pricing Stock Options under Stochastic Volatility and Stochastic Interest Rates with Efficient Method of Moments Estimation," Tinbergen Institute Discussion Papers 98-067/4, Tinbergen Institute.
  13. Pieter J. Van Der Sluis, 1998. "Computationally attractive stability tests for the efficient method of moments," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages C203-C227.
  14. Ming Liu & Harold H. Zhang, . "Specification Tests in the Efficient Method of Moments Framework with Application to the Stochastic Volatility Models," Computing in Economics and Finance 1997 93, Society for Computational Economics.
  15. Pieter J. van der Sluis, 1997. "Post-Sample Prediction Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-054/4, Tinbergen Institute.
  16. repec:dgr:uvatin:1997087 is not listed on IDEAS
  17. Kevin Hasker & Robin Sickles, 2010. "eBay in the Economic Literature: Analysis of an Auction Marketplace," Review of Industrial Organization, Springer, vol. 37(1), pages 3-42, August.
  18. Brendstrup, Bjarne & Paarsch, Harry J., 2006. "Identification and estimation in sequential, asymmetric, English auctions," Journal of Econometrics, Elsevier, vol. 134(1), pages 69-94, September.

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